The role of the timeline in Granger causality test in the presence of daily data non-synchronism
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- Korhonen, Iikka & Peresetsky, Anatoly, 2013. "What determines stock market behavior in Russia and other emerging countries?," BOFIT Discussion Papers 4/2013, Bank of Finland, Institute for Economies in Transition.
More about this item
Keywordsinterdependence; cross-market linkages; spillover; non-synchronism; synchronisation; asynchronism; comovement; Granger causality; GMT timeline; contemporaneous causality; instantaneous causality.;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
- F39 - International Economics - - International Finance - - - Other
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